Adaptive Daily Range Expansion Strategy

Family: breakout · Regime: trending · Complexity: high · Asset classes: FX, Equities, Commodities · Timeframes: H1, H4

Thesis

Market price discovery is most efficient when escaping the previous day's value range; this breakout is tradeable if the underlying market cycle (SAM) and directional momentum (ADX) align, provided the move represents genuine range expansion (REI) rather than low-liquidity noise.

Components

• Daily High Low MTF (regime) — Identifies structural boundaries of the previous day to establish a breakout regime.
• Smoothed Adaptive Momentum (direction) — Filters for momentum that is dynamically tuned to the market's dominant cycle period via the Homodyne Discriminator.
• ADX Crossing INGM (entry) — Triggers the trade upon a +DI/-DI crossover, signifying a shift in directional dominance.
• Stochastic Oscillator (exit) — Signals momentum exhaustion at overbought/oversold levels to capture profits before reversal.
• Chandelier Exit Heiken Ashi Variant (risk) — Provides a dynamic, volatility-adjusted stop-loss based on Heiken Ashi price extremes.
• Range Expansion Index (REI) (confirmation) — Filters out noise by ensuring price velocity meets DeMark's expansion criteria before entering.
• Spread Monitor (Tick-Level) (volatility_filter) — Prevents entry during periods of extreme illiquidity or news-driven spread spikes.

Known failure conditions

• The ADX Crossing INGM repaint flag causes entries to appear retrospectively where they did not occur in real-time.
• The Homodyne Discriminator fails to find a dominant cycle in chaotic or extremely low-volatility 'flat' markets.
• Strategy performs poorly in 'inside day' regimes where price fails to breach the previous day's range.

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